Menthol and camphor are two of the four active ingredients in Vicks. Are you saying their version of menthol and camphor is not natural?
I suppose overdosing on Vicks is what could be dangerous, and this can happen if we prepare our own blend incorrectly.
If you want to switch to menthol and camphor essential oils, you might have to get the proportions right in your base oil, so that the mixture has the same effect as Vicks vaporub. Too much of camphor, for instance, can lead to side effects like vomitting, muscle twitching, etc. However, used appropriately and in the right proportions, both these oils can prove to be powerful decongestants, and also have antispasmodic and analgesic properties. You could also add eucalyptus oil to the blend.